Nonsparse Learning with Latent Variables

DOI10.1287/opre.2020.2005zbMath1479.62041arXiv1710.02704OpenAlexW3116465768MaRDI QIDQ4994162

Jinchi Lv, Wei Lin, Zemin Zheng

Publication date: 17 June 2021

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.02704

zbMATH Keywords

model selectionprincipal component analysishigh dimensionalityspiked covariancefactors plus sparsity structurenonsparse coefficient vectors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

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Uses Software

• ElemStatLearn
• Eigenstrat

Cites Work

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